Precious metals, oil and the exchange rate: contemporaneous spillovers

A Fernandez-Perez, B Frijns*, A Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


We investigate the contemporaneous spillovers among precious metals, crude oil and the US$ exchange rate. We contend that conventional reduced-form vector autoregressive (VAR) models based on lead/lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects. Using a Structural VAR model, we identify these contemporaneous spillovers, which are shown to be strong and asymmetric. We further show that not taking into consideration the contemporaneous interactions among these assets leads to inaccurate findings and inevitably to inaccurate interpretations of the causal relations among them.
Original languageEnglish
Pages (from-to)3863-3879
Number of pages17
JournalApplied Economics
Issue number38
Publication statusPublished - 2017
Externally publishedYes


  • Impulse response functions
  • O13
  • Oil prices
  • Precious metal commodities
  • Q30
  • Q43
  • Structural VAR


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